Martin Molinero
08b72c5907
- Adding `LazyToUpper()` implementation, that will avoid the call to `ToUpper` if the string is already upper. - Reduce the timezone conversions at `Time.EachTradeableDayInTimeZone` - `TotalPortfolioValue` will iterate over all securities once - Adding new `SecurityIdentifier` cache, significant impact for algorithms using coarse/fine data
386 lines
16 KiB
C#
386 lines
16 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using System.ComponentModel;
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using System.Runtime.CompilerServices;
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using NodaTime;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Securities;
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using QuantConnect.Util;
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namespace QuantConnect.Data
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{
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/// <summary>
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/// Subscription data required including the type of data.
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/// </summary>
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public class SubscriptionDataConfig : IEquatable<SubscriptionDataConfig>
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{
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private readonly SecurityIdentifier _sid;
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/// <summary>
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/// Type of data
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/// </summary>
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public readonly Type Type;
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/// <summary>
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/// Security type of this data subscription
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/// </summary>
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public readonly SecurityType SecurityType;
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/// <summary>
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/// Symbol of the asset we're requesting: this is really a perm tick!!
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/// </summary>
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public Symbol Symbol { get; private set; }
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/// <summary>
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/// Trade, quote or open interest data
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/// </summary>
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public readonly TickType TickType;
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/// <summary>
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/// Resolution of the asset we're requesting, second minute or tick
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/// </summary>
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public readonly Resolution Resolution;
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/// <summary>
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/// Timespan increment between triggers of this data:
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/// </summary>
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public readonly TimeSpan Increment;
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/// <summary>
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/// True if wish to send old data when time gaps in data feed.
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/// </summary>
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public readonly bool FillDataForward;
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/// <summary>
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/// Boolean Send Data from between 4am - 8am (Equities Setting Only)
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/// </summary>
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public readonly bool ExtendedMarketHours;
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/// <summary>
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/// True if this subscription was added for the sole purpose of providing currency conversion rates via <see cref="CashBook.EnsureCurrencyDataFeeds"/>
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/// </summary>
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public readonly bool IsInternalFeed;
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/// <summary>
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/// True if this subscription is for custom user data, false for QC data
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/// </summary>
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public readonly bool IsCustomData;
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/// <summary>
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/// The sum of dividends accrued in this subscription, used for scaling total return prices
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/// </summary>
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public decimal SumOfDividends;
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/// <summary>
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/// Gets the normalization mode used for this subscription
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/// </summary>
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public DataNormalizationMode DataNormalizationMode = DataNormalizationMode.Adjusted;
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/// <summary>
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/// Price Scaling Factor:
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/// </summary>
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public decimal PriceScaleFactor;
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/// <summary>
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/// Symbol Mapping: When symbols change over time (e.g. CHASE-> JPM) need to update the symbol requested.
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/// </summary>
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public string MappedSymbol
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{
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get
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{
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return Symbol.ID.SecurityType == SecurityType.Option ?
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(Symbol.HasUnderlying ? Symbol.Underlying.Value : Symbol.Value) :
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Symbol.Value;
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}
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set
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{
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Symbol = Symbol.UpdateMappedSymbol(value);
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}
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}
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/// <summary>
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/// Gets the market / scope of the symbol
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/// </summary>
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public readonly string Market;
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/// <summary>
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/// Gets the data time zone for this subscription
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/// </summary>
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public readonly DateTimeZone DataTimeZone;
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/// <summary>
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/// Gets the exchange time zone for this subscription
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/// </summary>
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public readonly DateTimeZone ExchangeTimeZone;
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/// <summary>
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/// Consolidators that are registred with this subscription
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/// </summary>
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public readonly HashSet<IDataConsolidator> Consolidators;
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/// <summary>
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/// Gets whether or not this subscription should have filters applied to it (market hours/user filters from security)
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/// </summary>
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public readonly bool IsFilteredSubscription;
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/// <summary>
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/// Constructor for Data Subscriptions
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/// </summary>
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/// <param name="objectType">Type of the data objects.</param>
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/// <param name="symbol">Symbol of the asset we're requesting</param>
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/// <param name="resolution">Resolution of the asset we're requesting</param>
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/// <param name="dataTimeZone">The time zone the raw data is time stamped in</param>
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/// <param name="exchangeTimeZone">Specifies the time zone of the exchange for the security this subscription is for. This
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/// is this output time zone, that is, the time zone that will be used on BaseData instances</param>
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/// <param name="fillForward">Fill in gaps with historical data</param>
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/// <param name="extendedHours">Equities only - send in data from 4am - 8pm</param>
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/// <param name="isInternalFeed">Set to true if this subscription is added for the sole purpose of providing currency conversion rates,
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/// setting this flag to true will prevent the data from being sent into the algorithm's OnData methods</param>
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/// <param name="isCustom">True if this is user supplied custom data, false for normal QC data</param>
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/// <param name="tickType">Specifies if trade or quote data is subscribed</param>
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/// <param name="isFilteredSubscription">True if this subscription should have filters applied to it (market hours/user filters from security), false otherwise</param>
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/// <param name="dataNormalizationMode">Specifies normalization mode used for this subscription</param>
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public SubscriptionDataConfig(Type objectType,
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Symbol symbol,
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Resolution resolution,
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DateTimeZone dataTimeZone,
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DateTimeZone exchangeTimeZone,
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bool fillForward,
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bool extendedHours,
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bool isInternalFeed,
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bool isCustom = false,
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TickType? tickType = null,
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bool isFilteredSubscription = true,
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DataNormalizationMode dataNormalizationMode = DataNormalizationMode.Adjusted)
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{
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if (objectType == null) throw new ArgumentNullException("objectType");
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if (symbol == null) throw new ArgumentNullException("symbol");
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if (dataTimeZone == null) throw new ArgumentNullException("dataTimeZone");
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if (exchangeTimeZone == null) throw new ArgumentNullException("exchangeTimeZone");
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Type = objectType;
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SecurityType = symbol.ID.SecurityType;
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Resolution = resolution;
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_sid = symbol.ID;
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Symbol = symbol;
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FillDataForward = fillForward;
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ExtendedMarketHours = extendedHours;
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PriceScaleFactor = 1;
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IsInternalFeed = isInternalFeed;
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IsCustomData = isCustom;
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Market = symbol.ID.Market;
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DataTimeZone = dataTimeZone;
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ExchangeTimeZone = exchangeTimeZone;
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IsFilteredSubscription = isFilteredSubscription;
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Consolidators = new HashSet<IDataConsolidator>();
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DataNormalizationMode = dataNormalizationMode;
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TickType = tickType ?? LeanData.GetCommonTickTypeForCommonDataTypes(objectType, SecurityType);
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switch (resolution)
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{
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case Resolution.Tick:
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//Ticks are individual sales and fillforward doesn't apply.
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Increment = TimeSpan.FromSeconds(0);
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FillDataForward = false;
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break;
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case Resolution.Second:
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Increment = TimeSpan.FromSeconds(1);
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break;
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case Resolution.Minute:
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Increment = TimeSpan.FromMinutes(1);
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break;
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case Resolution.Hour:
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Increment = TimeSpan.FromHours(1);
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break;
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case Resolution.Daily:
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Increment = TimeSpan.FromDays(1);
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break;
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default:
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throw new InvalidEnumArgumentException("Unexpected Resolution: " + resolution);
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}
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}
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/// <summary>
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/// Copy constructor with overrides
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/// </summary>
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/// <param name="config">The config to copy, then overrides are applied and all option</param>
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/// <param name="objectType">Type of the data objects.</param>
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/// <param name="symbol">Symbol of the asset we're requesting</param>
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/// <param name="resolution">Resolution of the asset we're requesting</param>
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/// <param name="dataTimeZone">The time zone the raw data is time stamped in</param>
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/// <param name="exchangeTimeZone">Specifies the time zone of the exchange for the security this subscription is for. This
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/// is this output time zone, that is, the time zone that will be used on BaseData instances</param>
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/// <param name="fillForward">Fill in gaps with historical data</param>
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/// <param name="extendedHours">Equities only - send in data from 4am - 8pm</param>
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/// <param name="isInternalFeed">Set to true if this subscription is added for the sole purpose of providing currency conversion rates,
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/// setting this flag to true will prevent the data from being sent into the algorithm's OnData methods</param>
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/// <param name="isCustom">True if this is user supplied custom data, false for normal QC data</param>
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/// <param name="tickType">Specifies if trade or quote data is subscribed</param>
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/// <param name="isFilteredSubscription">True if this subscription should have filters applied to it (market hours/user filters from security), false otherwise</param>
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/// <param name="dataNormalizationMode">Specifies normalization mode used for this subscription</param>
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public SubscriptionDataConfig(SubscriptionDataConfig config,
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Type objectType = null,
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Symbol symbol = null,
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Resolution? resolution = null,
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DateTimeZone dataTimeZone = null,
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DateTimeZone exchangeTimeZone = null,
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bool? fillForward = null,
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bool? extendedHours = null,
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bool? isInternalFeed = null,
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bool? isCustom = null,
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TickType? tickType = null,
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bool? isFilteredSubscription = null,
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DataNormalizationMode? dataNormalizationMode = null)
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: this(
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objectType ?? config.Type,
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symbol ?? config.Symbol,
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resolution ?? config.Resolution,
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dataTimeZone ?? config.DataTimeZone,
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exchangeTimeZone ?? config.ExchangeTimeZone,
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fillForward ?? config.FillDataForward,
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extendedHours ?? config.ExtendedMarketHours,
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isInternalFeed ?? config.IsInternalFeed,
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isCustom ?? config.IsCustomData,
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tickType ?? config.TickType,
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isFilteredSubscription ?? config.IsFilteredSubscription,
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dataNormalizationMode ?? config.DataNormalizationMode
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)
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{
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PriceScaleFactor = config.PriceScaleFactor;
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SumOfDividends = config.SumOfDividends;
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Consolidators = config.Consolidators;
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}
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/// <summary>
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/// Normalizes the specified price based on the DataNormalizationMode
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public decimal GetNormalizedPrice(decimal price)
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{
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switch (DataNormalizationMode)
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{
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case DataNormalizationMode.Raw:
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return price;
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// the price scale factor will be set accordingly based on the mode in update scale factors
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case DataNormalizationMode.Adjusted:
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case DataNormalizationMode.SplitAdjusted:
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return price*PriceScaleFactor;
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case DataNormalizationMode.TotalReturn:
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return (price*PriceScaleFactor) + SumOfDividends;
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default:
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throw new ArgumentOutOfRangeException();
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}
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}
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/// <summary>
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/// Indicates whether the current object is equal to another object of the same type.
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/// </summary>
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/// <returns>
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/// true if the current object is equal to the <paramref name="other"/> parameter; otherwise, false.
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/// </returns>
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/// <param name="other">An object to compare with this object.</param>
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public bool Equals(SubscriptionDataConfig other)
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{
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if (ReferenceEquals(null, other)) return false;
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if (ReferenceEquals(this, other)) return true;
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return _sid.Equals(other._sid) && Type == other.Type
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&& TickType == other.TickType
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&& Resolution == other.Resolution
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&& FillDataForward == other.FillDataForward
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&& ExtendedMarketHours == other.ExtendedMarketHours
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&& IsInternalFeed == other.IsInternalFeed
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&& IsCustomData == other.IsCustomData
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&& DataTimeZone.Equals(other.DataTimeZone)
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&& ExchangeTimeZone.Equals(other.ExchangeTimeZone)
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&& IsFilteredSubscription == other.IsFilteredSubscription;
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}
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/// <summary>
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/// Determines whether the specified object is equal to the current object.
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/// </summary>
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/// <returns>
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/// true if the specified object is equal to the current object; otherwise, false.
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/// </returns>
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/// <param name="obj">The object to compare with the current object. </param>
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public override bool Equals(object obj)
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{
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if (ReferenceEquals(null, obj)) return false;
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if (ReferenceEquals(this, obj)) return true;
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if (obj.GetType() != GetType()) return false;
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return Equals((SubscriptionDataConfig) obj);
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}
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/// <summary>
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/// Serves as the default hash function.
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/// </summary>
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/// <returns>
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/// A hash code for the current object.
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/// </returns>
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public override int GetHashCode()
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{
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unchecked
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{
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var hashCode = _sid.GetHashCode();
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hashCode = (hashCode*397) ^ Type.GetHashCode();
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hashCode = (hashCode*397) ^ (int) TickType;
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hashCode = (hashCode*397) ^ (int) Resolution;
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hashCode = (hashCode*397) ^ FillDataForward.GetHashCode();
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hashCode = (hashCode*397) ^ ExtendedMarketHours.GetHashCode();
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hashCode = (hashCode*397) ^ IsInternalFeed.GetHashCode();
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hashCode = (hashCode*397) ^ IsCustomData.GetHashCode();
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hashCode = (hashCode*397) ^ DataTimeZone.Id.GetHashCode();// timezone hash is expensive, use id instead
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hashCode = (hashCode*397) ^ ExchangeTimeZone.Id.GetHashCode();// timezone hash is expensive, use id instead
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hashCode = (hashCode*397) ^ IsFilteredSubscription.GetHashCode();
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return hashCode;
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}
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}
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/// <summary>
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/// Override equals operator
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/// </summary>
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public static bool operator ==(SubscriptionDataConfig left, SubscriptionDataConfig right)
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{
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return Equals(left, right);
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}
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/// <summary>
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/// Override not equals operator
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/// </summary>
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public static bool operator !=(SubscriptionDataConfig left, SubscriptionDataConfig right)
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{
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return !Equals(left, right);
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}
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/// <summary>
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/// Returns a string that represents the current object.
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/// </summary>
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/// <returns>
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/// A string that represents the current object.
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/// </returns>
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/// <filterpriority>2</filterpriority>
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public override string ToString()
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{
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return Symbol.Value + "," + MappedSymbol + "," + Resolution + "," + Type.Name + "," + TickType + "," + DataNormalizationMode;
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}
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}
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}
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